Which Closing Price?

by | Apr 25, 2011 | 4 comments

Here’s a nice take on this topic from a blog I recently found: Roll em! When back-testing futures trading systems we have to make a choice regarding the historical price series. This issue came up for me recently while building a portfolio variance limiter in...
GI => GO (III) Data Validation

GI => GO (III) Data Validation

by | Jul 8, 2010 | 0 comments

Even the best commercially available data contains errors. You must have a data validation protocol to help you find and remove them. Remeber your analysis is only as good as your data!